Re: [amibroker] Machine Learning: my first system

Coolman 00.36

Thanks Howard,
Looking forward for your book.

On 3/7/2016 10:10 PM, Howard B howardbandy@gmail.com [amibroker] wrote:

Hi Aron --

Nicely done!

Best regards,

Howard

On Mon, Mar 7, 2016 at 3:51 AM, Aron Pipa aron@myafl.com [amibroker] <amibroker@yahoogroups.com> wrote:

[Attachment(s) from Aron Pipa included below]
Just build my first strategy using ML.

Trades: Long Only
Position Sizing : fixed dollar value ( 10,0000)

Learning algorithm : Logistic Regression
Target : y5 > y 4
Features: y [n] / y[n-1]

Out of Sample Performance:
A different strategy (buy& hold) is used in-sample just to be able to compare.

Execution:

__._,_.___

Posted by: Aron Pipa <aron@myafl.com>

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